Brazil Stock Market Risk Factors

Author

Igor Martins, Josué Costa, Mohammed Kaebi, Tomás da Nóbrega - Insper, Finance and Macroeconomics Unit

Here, we build long-short portfolios based on the characteristics built previously. Portfolios are either sorted on the median, terciles or quintiles, and are either value weighted or equal weighted. Portfolios are built on single sorts of each characteristic and change on a monthly basis. For more details, have a look at our working paper.

Below, we show the performance and some descriptive statistics of the portfolios built on each of the characteristics and sorted with different methods. The risk-factors are built according to the table below, and in general are high-minus-low long-short portfolios, with a few exceptions:

Characteristic Long Portfolio Short Portfolio
mom1m Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
mom6m Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
mom6m2 Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
mom12m Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
mom12m2 Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
mom36m Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
mom60m Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
pr_delay Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
ill Below median, bottom tercile or bottom quintile Above median, top tercile or top quintile
std_vlm Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
vlm Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
ch_mom Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
i_ret_v Below median, bottom tercile or bottom quintile Above median, top tercile or top quintile
ret_v Below median, bottom tercile or bottom quintile Above median, top tercile or top quintile
beta Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
asset_gr Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
btm Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
sz Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
op_pft Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
rme Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
earn_pr Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
gt_pft Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
levg Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
gr_sl Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
sl_pr Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
earn_rev Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
ebit_reve Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
netdebt Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
lev2 Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
ev Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
Revenue Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile
ev_eb Above median, top tercile or top quintile Below median, bottom tercile or bottom quintile

1 Data download

Data is available for download below, where we report the monthly return of each risk factor:

  • Value weighted risk factors: link
  • Equal weighted risk factors: link

2 Value Weighted portfolios

2.1 Monthly return

2.1.1 Median sorted

2.1.2 Tercile sorted

2.1.3 Quintile sorted

2.2 Cummulative return

2.2.1 Median sorted

2.2.2 Tercile sorted

2.2.3 Quintile sorted

2.3 Descriptive stats table

2.3.1 Median sorted

Code 
portfolio_descriptive_stats[["median"]] %>%
  datatable(options = list(pageLength = 10)) %>%
  formatRound(columns = 2:ncol(portfolio_descriptive_stats[["median"]]), digits = 3)

2.3.2 Tercile sorted

Code 
portfolio_descriptive_stats[["terciles"]] %>%
  datatable(options = list(pageLength = 10)) %>%
  formatRound(columns = 2:ncol(portfolio_descriptive_stats[["terciles"]]), digits = 3)

2.3.3 Quintile sorted

Code 
portfolio_descriptive_stats[["quintiles"]] %>%
  datatable(options = list(pageLength = 10)) %>%
  formatRound(columns = 2:ncol(portfolio_descriptive_stats[["quintiles"]]), digits = 3)

3 Equal Weighted portfolios

3.1 Monthly return

3.1.1 Median sorted

3.1.2 Tercile sorted

3.1.3 Quintile sorted

3.2 Cummulative return

3.2.1 Median sorted

3.2.2 Tercile sorted

3.2.3 Quintile sorted

3.3 Descriptive stats table

3.3.1 Median sorted

3.3.2 Tercile sorted

3.3.3 Quintile sorted